There are a lot of problems to solve with exits. If the worst case does not happen (i.e., so you don't get stopped out), then the job of your system is to allow you to make the most profit possible and give the least amount of it back. Only your exits do this!
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Keltner Channels

System for: TradeStation

Views: 1862

Added: May 30, 2007

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Tags: TradeStation, system

Keltner Channels
. To: "Omega-List" <omega-list@xxxxxxxxxx>
. Subject: Keltner Channels
. From: "Gaius Marius" <magnus@xxxxxxxxxxx>
. Date: Fri, 2 Oct 1998 14:26:33 -0400
. Reply-To: "Gaius Marius" <magnus@xxxxxxxxxxx>
. Resent-Date: Fri, 2 Oct 1998 11:25:10 -0700
. Resent-From: omega-list@xxxxxxxxxx
. Resent-Message-ID: <"MxUs_1.0.Qh4.6gH5s"@mx1>
. Resent-Sender: omega-list-request@xxxxxxxxxx

Here's one way of trading using the Keltner Channels. This one has about a 40% winning percentage, 1.5 profit factor and a ratio of win to loss of about 2.3 on the 60 minute S&P.

You can improve it by changing the exit strategies. Or even the entry criteria by having the Close crossing above the Upper Channel for a buy and crossing the Lower Channel for a short and then use an internal trailing stop to exit.

Play around with it will give you at least 3 different strategies that are profitable.

Code:

Type : Signal, Name : Keltner Channels
Inputs: Len(25),Fc(1.75);
Vars: Upper(0),Lower(0),Mid(0),Rng(0),Dif(0);

Rng=XAverage(TrueRange,Len);
Mid=Xaverage(C,Len);
Upper=Mid+Fc*Rng;
Lower=Mid-Fc*Rng;
Dif=Close-Mid;

Condition1=Dif crosses above 0;
Condition2=Dif crosses below 0;
Condition3=Dif crosses below Fc*Rng;
Condition4=Dif crosses above -Fc*Rng;

If condition1 then buy on close;
If condition3 then exitlong on close;
If condition2 then sell on close;
If condition4 then exitshort on close;

Code to difficult? Find somebody to help you with coding here.

Source: http://www.purebytes.com

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